When you protect a directory from the admin control panel, do I also have to insert the incude_php code into the header of my directory? In other words, if I used the control panel to protect a folder do I still need to manually insert the include_php code into the index.php or header.php file located in the directory?
It depends on protection method you are using. For most methods (new_rewrite, etc.) you don't have to insert any code.